Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0386 |
| Annualized Std Dev | 0.3856 |
| Annualized Sharpe (Rf=0%) | -0.1000 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3267.0000 |
| NAs | 1.0000 |
| Minimum | -0.1495 |
| Quartile 1 | -0.0115 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0129 |
| Maximum | 0.2059 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0007 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0006 |
| Stdev | 0.0243 |
| Skewness | 0.0042 |
| Kurtosis | 6.3794 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0174 |
| Gain Deviation | 0.0169 |
| Loss Deviation | 0.0179 |
| Downside Deviation (MAR=210%) | 0.0219 |
| Downside Deviation (Rf=0%) | 0.0173 |
| Downside Deviation (0%) | 0.0173 |
| Maximum Drawdown | 0.7748 |
| Historical VaR (95%) | -0.0372 |
| Historical ES (95%) | -0.0577 |
| Modified VaR (95%) | -0.0367 |
| Modified ES (95%) | -0.0559 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2010-11-05 | 2020-10-30 | NA | -0.7748 | 2610 | 2514 | NA |
| 2008-08-05 | 2008-11-20 | 2010-01-07 | -0.6894 | 360 | 77 | 283 |
| 2008-05-20 | 2008-07-02 | 2008-07-30 | -0.2457 | 50 | 31 | 19 |
| 2010-04-15 | 2010-06-07 | 2010-09-13 | -0.1854 | 105 | 37 | 68 |
| 2010-01-20 | 2010-02-25 | 2010-04-05 | -0.1665 | 52 | 26 | 26 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | 8 | 0 | 1.8 | -6.7 | 1.3 | -1.5 | -2.6 | 5 | -12.1 | 2.4 | -5.8 |
| 2009 | -2 | 4.6 | 6.2 | 2.2 | 4 | 1.2 | 0.3 | -3.2 | -3.2 | -7 | 3.5 | 1.7 | 7.8 |
| 2010 | 5.1 | 2.7 | 2.2 | -0.9 | -3 | 0.9 | 0 | 2.6 | -0.2 | 0.7 | 3.1 | -0.2 | 13.4 |
| 2011 | 4.1 | -5.4 | 3.1 | 2 | -1.1 | 1.2 | -0.6 | -1.5 | -2.5 | -3.2 | -2.9 | -0.6 | -7.6 |
| 2012 | 5.4 | 1.2 | 1.4 | 0.3 | -0.7 | 3.4 | -0.9 | 2.5 | 0.8 | 1.8 | 0.4 | 1.2 | 17.9 |
| 2013 | 2.5 | 1.6 | 0.6 | -0.7 | -2.2 | -0.5 | 1.7 | -0.3 | 4.7 | -2.1 | 1.1 | -0.8 | 5.4 |
| 2014 | -0.1 | 0.3 | 2.6 | 0.6 | -1 | -2 | 0.7 | -1.2 | -2.2 | -0.8 | 0.2 | 0.8 | -2.2 |
| 2015 | -2.4 | -2.6 | 0.1 | -0.1 | -2.9 | -0.8 | 3.3 | -3.8 | -0.6 | 3.5 | 2.4 | -1.8 | -5.9 |
| 2016 | -0.5 | 3.2 | -0.3 | 0.7 | -0.4 | 0.3 | 0.5 | 0.6 | 0.3 | -2.6 | -4 | -0.9 | -3.2 |
| 2017 | 0.5 | 2.2 | -0.1 | -0.3 | 0.6 | 0.7 | -1.5 | 1.9 | 0.1 | 1.6 | 0.7 | 0.2 | 6.7 |
| 2018 | 0.4 | -1 | 3.8 | -1.5 | -3.8 | 0.3 | -3.1 | 1.5 | 0.3 | 4.1 | -1.1 | -0.5 | -0.9 |
| 2019 | -1.8 | -1.6 | 2.2 | -1 | 1.9 | 6 | -1.6 | 0.6 | -2.1 | 0.6 | 0.6 | 0 | 3.5 |
| 2020 | -0.8 | -2.6 | -4.3 | -3.9 | 2.8 | 0 | 0.4 | 0.9 | 0.7 | -2.5 | 3.1 | -0.7 | -7 |
| 2021 | 4 | 4.9 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 9.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-03-28 47.6 SPY 132. -0.00960 -0.0043 -0.0485 -0.121 -0.0727 0.121 0.510 GLD 91.9 -0.0169 0.0219
2 2008-03-31 46.4 SPY 132. 0.0035 -0.0204 -0.0358 -0.106 -0.0704 0.132 0.514 GLD 90.4 -0.016 0.0034
3 2008-04-01 50.1 SPY 137. 0.0352 0.0131 0.0208 -0.0726 -0.038 0.156 0.576 GLD 86.9 -0.0393 -0.0633
4 2008-04-02 50.5 SPY 137. 0.0007 0.0263 0.024 -0.065 -0.0384 0.159 0.613 GLD 89.3 0.0277 -0.0483
5 2008-04-03 49.6 SPY 137. 0.0025 0.0321 0.0305 -0.0544 -0.0463 0.167 0.593 GLD 89.4 0.0017 -0.0432
6 2008-04-04 50.8 SPY 137. -0.0011 0.0409 0.0229 -0.055 -0.0484 0.164 0.553 GLD 90.2 0.00930 -0.0177
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
